Time reversal of Volterra processes driven stochastic differential equation
Probability
2012-12-24 v2
Abstract
We consider stochastic differential equations driven by some Volterra processes. Under time reversal, these equations are transformed into past dependent stochastic differential equations driven by a standard Brownian motion. We are then in position to derive existence and uniqueness of solutions of the Volterra driven SDE considered at the beginning.
Keywords
Cite
@article{arxiv.1008.2850,
title = {Time reversal of Volterra processes driven stochastic differential equation},
author = {Laurent Decreusefond},
journal= {arXiv preprint arXiv:1008.2850},
year = {2012}
}
Comments
International Journal of Stochastic Analysis (2013)